All of the items you have selected will work except maybe the battery holder.
You have chosen a 5V 16MHz Arduino Pro Micro. I originally used a 3.3V 8MHz one but I have now switched to a 5V 16MHz Arduino/Genuino Micro. If you can afford the extra cost and size, I would recommend doing this. This will give you all the I/O pins, a reset switch, and a 3.3V supply which you may need for the display.
This is where I got mine:
The OLED display you have selected would probably work but it doesn’t have a Reset (RST) signal. I don’t think this would be a problem, but if you want to be safe you may want to get one with RST and also CS. The one I bought has RST but is missing CS. You want to be sure that the one you get has an SSD1306 controller, not a SH1106 controller.
One thing I’ve found with many OLED displays sold on ebay is that they claim to be 5V compatible but really are not. They have an on board 3.3V regulator but the signal lines just use resistors to protect them, which is not safe. This is why I used a level converter module when I switched to a 5V system. You might want to buy a level converter just to be safe.
If I needed to buy a display today, I would consider this one (but I haven’t bought anything from this seller before). They say it is 5V compatible but from the photos I don’t think it is, so to be safe, I would use level shifters.
If you want to get a level converter module, this is the one I got:
Any normally open push button switch will work. You might want to make sure they can be plugged into a breadboard. The ones I bought won’t plug directly into a breadboard.
Here’s an ebay search:
The piezo speaker you selected should work fine. The one I’m using is:
The battery holder you picked is only for 3 cells. With regular non-rechargable batteries, this will provide 4.5V average, which would probably work. If you want to use rechargable batteries, you might want to use 4 cells, for 5V average. The one I used is no longer being sold by the seller I bought from, but it’s the same as this one:
The breadboard you chose only has a single power rail on each side, instead of the more usual two, but it would work. This is the one I used (it doesn’t include jumper leads):